The following steps are necessary:
* Options => Move it from the left to the right list
* Set Axis (including inverted and so on)
* Set Buttons (but not essential)
* Activate it with [Alt] => Wheel-Symbol OR with [K]
If it doesn't work properly then, you just can check in the options menu if the blue bars are moving when using the Wheel! If they DO, then you have done one of the steps not properly. If it DON'T do, then the mistake is between PC and Wheel!